{"title":"The influence of negative interest rates on European life insurance companies","authors":"Nicolaus Grochola","doi":"10.1111/jori.70044","DOIUrl":null,"url":null,"abstract":"<p>Between 2016 and 2022, life insurers in several European countries experienced negative long-term interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To measure the sensitivities, I estimate the level, slope, and curvature of the yield curve using the Nelson-Siegel model and empirical proxies. Panel regressions show that the effect of changes in the level is up to 2.8 times greater in a negative interest rate environment than in a positive one. Thus, a 1ppt decline in the interest rate level reduces European life insurers' stock returns by more than 10ppt when long-term interest rates are below 0%. The study also demonstrates that the relationship between the level and the sensitivity to interest rates is convex, and that accounting for the slope and curvature can prevent biased estimates.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"93 3","pages":"822-889"},"PeriodicalIF":1.9000,"publicationDate":"2026-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70044","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Risk and Insurance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jori.70044","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2026/3/22 0:00:00","PubModel":"Epub","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
Between 2016 and 2022, life insurers in several European countries experienced negative long-term interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To measure the sensitivities, I estimate the level, slope, and curvature of the yield curve using the Nelson-Siegel model and empirical proxies. Panel regressions show that the effect of changes in the level is up to 2.8 times greater in a negative interest rate environment than in a positive one. Thus, a 1ppt decline in the interest rate level reduces European life insurers' stock returns by more than 10ppt when long-term interest rates are below 0%. The study also demonstrates that the relationship between the level and the sensitivity to interest rates is convex, and that accounting for the slope and curvature can prevent biased estimates.
期刊介绍：
The Journal of Risk and Insurance (JRI) is the premier outlet for theoretical and empirical research on the topics of insurance economics and risk management. Research in the JRI informs practice, policy-making, and regulation in insurance markets as well as corporate and household risk management. JRI is the flagship journal for the American Risk and Insurance Association, and is currently indexed by the American Economic Association’s Economic Literature Index, RePEc, the Social Sciences Citation Index, and others. Issues of the Journal of Risk and Insurance, from volume one to volume 82 (2015), are available online through JSTOR . Recent issues of JRI are available through Wiley Online Library. In addition to the research areas of traditional strength for the JRI, the editorial team highlights below specific areas for special focus in the near term, due to their current relevance for the field.
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